BrandonBrandon is correct - EE does not like a hash in a redirect URL.
Instead, try using flash data for this.
$this->EE->session->set_flashdata('selected-tab', 'settings');
$this->EE->functions->redirect(BASE . AMP . 'C=addons_modules' . AMP . 'M=show_module_cp' . AMP . 'module=module_name_here');
Then, in your module code:
if($tab = ee()->session->flashdata('selected-tab') && $tab == 'settings')
{
// Add something here to your markup so that your JS will select the tab you want
}